Browsing Mathematics (Faculty of) by Subject "Vasicek model"
Now showing items 1-2 of 2
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State-dependent Modeling of Default Rates
(University of Waterloo, 2021-09-29)Risk-weight function is the most popular formula for banking regulations used to calculate the amount of backup deposit that banks need to hold in order to bear extraordinary losses. The model behind the formula was ... -
Suboptimality of Asian Executive Options
(University of Waterloo, 2011-08-25)This thesis applies the concept of cost e ciency to the design of executive compensation. In a classical Black-Scholes framework, we are able to express the cost e cient counterpart of the Asian Executive Option explicitly, ...